2011/4/26 Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it>: > On Tue, 26 Apr 2011, Sven Schreiber wrote: > > >> I tend to think it should be _possible_ to use HAC with VARs for >> demonstration purposes, even if it may not be wise to use them for real >> applications. >> >> The robust default should probably be the "wise" one, i.e. HC but not HAC. >> However, there may also be a case to treat all time-series models alike, as >> you mention. > > I agree with Sven. Besides, it is entirely possible that you have > heteroskedasticity in a well-specified VAR, so some form of adjustment may > be necessary after all. > > > Riccardo (Jack) Lucchetti > Dipartimento di Economia > Università Politecnica delle Marche > > r.lucchetti(a)univpm.it > http://www.econ.univpm.it/lucchetti > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users >
Thanks for the comments on this issue. I also agree with you that HC should be the robust default -- at least for VAR modelling. Artur
